Portfolio Performance Report - 100d Window
6 Jan, 1999 - 23 Feb, 2024

Generated by QuantStats (v. 0.0.77)

Key Performance Metrics

Metric	EQW	^DJI	SPY	MV (100d)	BL (100d)
Risk-Free Rate	0.0%	0.0%	0.0%	0.0%	0.0%
Time in Market	100.0%	100.0%	100.0%	93.0%	99.0%

Cumulative Return	408.02%	320.26%	539.04%	559.48%	449.69%
CAGR﹪	6.69%	5.89%	7.67%	7.81%	7.03%

Sharpe	0.42	0.4	0.48	0.47	0.45
Prob. Sharpe Ratio	98.09%	97.76%	99.14%	98.99%	98.79%
Smart Sharpe	0.39	0.38	0.45	0.44	0.43
Sortino	0.58	0.57	0.67	0.65	0.63
Smart Sortino	0.55	0.53	0.63	0.61	0.59
Sortino/√2	0.41	0.4	0.48	0.46	0.45
Smart Sortino/√2	0.39	0.38	0.45	0.43	0.42
Omega	1.08	1.08	1.09	1.09	1.09

Max Drawdown	-59.82%	-53.78%	-55.19%	-48.76%	-57.57%
Max DD Date	2008-11-20	2009-03-09	2009-03-09	2008-09-17	2009-03-09
Max DD Period Start	2007-11-01	2007-10-10	2007-10-10	2007-10-30	2007-11-01
Max DD Period End	2011-04-26	2013-03-04	2012-08-15	2009-10-07	2010-11-03
Longest DD Days	1453	2450	2404	4151	1409
Volatility (ann.)	20.79%	18.55%	19.53%	20.68%	19.03%
Calmar	0.11	0.11	0.14	0.16	0.12
Skew	-0.28	-0.11	-0.01	-0.42	-0.28
Kurtosis	12.33	12.25	11.16	12.06	14.2

Expected Daily	0.03%	0.02%	0.03%	0.03%	0.03%
Expected Monthly	0.54%	0.48%	0.62%	0.63%	0.57%
Expected Yearly	6.45%	5.68%	7.39%	7.52%	6.77%
Kelly Criterion	-	-	-	-	-
Risk of Ruin	-	-	-	-	-
Daily Value-at-Risk	-2.12%	-1.89%	-1.99%	-2.1%	-1.94%
Expected Shortfall (cVaR)	-3.82%	-3.82%	-3.82%	-3.82%	-3.82%

Max Consecutive Wins	-	-	-	-	-
Max Consecutive Losses	-	-	-	-	-
Gain/Pain Ratio	-	-	-	-	-
Gain/Pain (1M)	-	-	-	-	-

Payoff Ratio	-	-	-	-	-
Profit Factor	1.08	1.08	1.09	1.09	1.09
Common Sense Ratio	-	-	-	-	-
CPC Index	-	-	-	-	-
Tail Ratio	0.93	0.96	0.92	0.95	0.93
Outlier Win Ratio	3.82	4.33	4.15	4.2	4.31
Outlier Loss Ratio	3.84	4.39	4.05	3.65	4.23

MTD	2.59%	2.57%	5.17%	2.78%	2.61%
3M	7.06%	10.94%	12.06%	3.91%	6.14%
6M	9.24%	14.12%	16.79%	3.11%	7.41%
YTD	0.74%	3.83%	6.85%	3.62%	0.45%
1Y	11.09%	18.42%	29.36%	4.93%	7.87%
3Y (ann.)	3.56%	6.31%	10.76%	19.4%	2.26%
5Y (ann.)	5.78%	9.1%	14.72%	9.16%	4.6%
10Y (ann.)	3.72%	9.29%	12.72%	4.13%	3.23%
All-time (ann.)	6.69%	5.89%	7.67%	7.81%	7.03%

Best Day	14.86%	11.37%	14.52%	14.98%	13.72%
Worst Day	-12.09%	-12.93%	-10.94%	-12.77%	-11.49%
Best Month	16.17%	13.95%	12.7%	26.34%	16.38%
Worst Month	-25.09%	-14.06%	-16.52%	-16.71%	-22.86%
Best Year	56.84%	26.5%	32.31%	67.91%	58.02%
Worst Year	-44.11%	-33.84%	-36.8%	-38.31%	-42.32%

Avg. Drawdown	-3.4%	-2.3%	-2.04%	-3.88%	-2.8%
Avg. Drawdown Days	55	46	32	70	49
Recovery Factor	-	-	-	-	-
Ulcer Index	0.16	0.14	0.17	0.21	0.15
Serenity Index	0.43	0.37	0.42	0.36	0.41

Avg. Up Month	4.92%	3.63%	3.86%	5.17%	4.53%
Avg. Down Month	-5.77%	-4.45%	-4.61%	-4.95%	-5.28%
Win Days	53.4%	53.12%	54.29%	53.97%	53.51%
Win Month	55.96%	60.93%	62.91%	55.75%	58.92%
Win Quarter	62.38%	65.35%	70.3%	61.62%	64.0%
Win Year	65.38%	69.23%	76.92%	61.54%	65.38%

EOY Returns

Year	EQW	^DJI	SPY	MV (100d)	BL (100d)
1999	23.68	22.39	19.28	26.18	15.34
2000	-13.41	-4.22	-7.41	-13.52	-13.95
2001	-8.20	-5.12	-10.11	-13.85	-8.23
2002	-9.89	-15.11	-20.83	-13.80	-6.69
2003	41.59	23.95	26.20	50.43	46.61
2004	26.02	3.69	10.78	36.77	24.55
2005	16.82	-0.08	5.25	17.58	14.22
2006	29.10	15.58	15.21	31.62	30.65
2007	19.97	7.29	6.28	34.21	20.16
2008	-47.06	-34.13	-37.36	-42.89	-45.18
2009	50.14	20.17	26.93	54.24	49.84
2010	20.58	11.76	15.63	25.13	20.97
2011	-16.31	7.59	4.53	-29.64	-11.06
2012	22.81	7.69	15.64	2.19	20.69
2013	9.37	24.03	28.62	15.60	14.26
2014	-4.15	7.84	13.27	-8.94	-4.55
2015	-10.85	-1.07	2.41	-5.22	-6.97
2016	9.23	13.38	12.18	6.64	6.56
2017	24.15	22.61	19.88	17.82	23.87
2018	-12.80	-4.20	-3.23	-4.81	-12.67
2019	17.45	20.94	27.97	5.51	16.94
2020	11.12	13.82	22.47	-11.01	8.02
2021	8.83	17.94	26.11	18.70	9.76
2022	-6.52	-7.24	-17.13	49.44	-9.02
2023	14.43	13.49	24.11	-9.50	11.35
2024	0.83	3.81	6.73	3.68	0.53

Worst 10 Drawdowns

EQW

Started	Recovered	Drawdown	Days
2007-11-01	2011-04-26	-59.82	1273
2000-01-04	2003-12-26	-41.42	1453
2018-01-29	2020-12-16	-41.02	1053
2014-07-07	2017-07-25	-31.03	1115
2011-05-02	2013-01-18	-27.33	628
2022-01-13	2023-07-25	-23.27	559
2006-05-10	2006-10-25	-18.31	169
2007-07-16	2007-09-28	-14.38	75
2013-05-09	2013-09-17	-13.41	132
2004-02-18	2004-09-20	-13.21	216

^DJI

Started	Recovered	Drawdown	Days
2007-10-10	2013-03-04	-53.78	1973
2000-01-18	2006-10-02	-37.85	2450
2020-02-13	2020-11-13	-37.09	275
2022-01-05	2023-12-12	-21.94	707
2018-10-04	2019-07-02	-18.77	272
2015-05-20	2016-07-11	-14.48	419
2018-01-29	2018-09-19	-11.58	234
1999-08-26	1999-12-22	-11.53	119
2007-07-20	2007-09-28	-8.25	71
2014-01-02	2014-04-29	-7.26	118

SPY

Started	Recovered	Drawdown	Days
2007-10-10	2012-08-15	-55.19	1772
2000-03-27	2006-10-25	-47.52	2404
2020-02-20	2020-08-07	-33.72	170
2022-01-04	2023-12-12	-24.50	708
2018-09-21	2019-04-11	-19.35	203
2015-07-21	2016-04-15	-13.02	270
1999-07-19	1999-11-16	-11.70	121
2018-01-29	2018-08-03	-10.10	187
2020-09-03	2020-11-10	-9.44	69
2000-01-20	2000-03-16	-9.30	57

MV (100d)

Started	Recovered	Drawdown	Days
2007-10-30	2009-10-07	-48.76	709
2000-03-06	2004-06-28	-47.88	1576
2010-11-09	2022-03-21	-45.86	4151
2022-04-08	2022-09-09	-22.60	155
2023-01-04	2024-02-23	-20.23	416
2009-10-15	2010-08-19	-20.18	309
2007-07-20	2007-09-26	-16.97	69
2022-09-13	2022-11-02	-16.11	51
2006-05-11	2006-09-26	-15.14	139
2007-02-26	2007-04-02	-14.02	36

BL (100d)

Started	Recovered	Drawdown	Days
2007-11-01	2010-11-03	-57.57	1099
2018-01-29	2021-01-04	-39.15	1072
2000-01-04	2003-11-12	-37.91	1409
2011-05-02	2013-04-24	-26.97	724
2014-07-07	2017-07-11	-26.88	1101
2022-02-10	2024-02-23	-22.26	744
2006-05-10	2006-10-13	-15.67	157
2004-02-18	2004-09-30	-13.62	226
2007-07-13	2007-09-26	-12.36	76
2013-05-09	2013-09-13	-11.36	128